Consider the binary classification setting, where the input space is $[0,1]$ and the labels are $\{0,1\}$ Assume the distribution on the input-label $(X,Y)$ pair is as follows. Let $\Pr(Y=0)=\Pr(Y=1)=\frac{1}{2}$. If $Y=0$, then the distribution of $X$ is uniform on $[0,1]$. Then, if $Y=1$, the support of the distribution of $X$ is rational numbers in $[0,1]$ such that every rational number has a positive probability. Let $S_n=\{(X_1,Y_1),\dots,(X_n,Y_n)\}$ denotes $n$-iid samples from this distribution.
Fix an irrational $x \in [0,1]$. Consider the event $E_n$ which is the nearest point ( in usual distance) in $S_n$ to $x$ is a rational. We want to show that $\lim_{n\to \infty} \Pr(E_n)=0$.
Note that the distribution on the input is fixed and does not change with $n$. This is Problem 5.38 from Probabilistic Theory of Pattern Recognition by Devroye, Györfi, and Lugosi.
I will prove the result under an additional hypothesis that $\mathbb E|Q-x|^{-2}<\infty$ where $Q$ has the same distribution as $X$ given $Y=1$ and $x$ is the fixed irrational number being considered. I believe this is a reasonable assumption since the authors themselves seem to have a specific distribution in mind which does satisfy this property, namely $I,J$ independent geometric random variables and $$ Q=\frac{\min(I,J)}{\max(I,J)}, $$ in which case all the negative moments $\mathbb E|Q-x|^{-k}<\infty$ exist, not just $k=2$.
Formally let $\{(X_i,Y_i)\}_{i=1}^{\infty}$ be an infinite iid sequence with the given distribution. This allows us to consider the events $\{E_n\}_{n=1}^{\infty}$ as being defined on the same probability space. Thus by Borel-Cantelli it suffices to show that $$ \sum_{n=1}^{\infty}\mathbb P(E_n)<\infty. $$ Now we conclude using the same technique as Mike Earnest in the other partial answer by observing that \begin{align*} \mathbb P(E_n)&\leq n\ \mathbb P\left(Y_1=1\text{ and } |X_1-x|=\min_{1\leq i\leq n} |X_i-x|\right)\\ &\leq\sum_{q\in \mathbb Q}\mathbb P(X_1=q)\ n\left(1-\frac{|q-x|}{2}\right)^{n-1}, \end{align*} thus by Fubini-Tonelli we have that \begin{align*} \sum_{n=1}^{\infty}\mathbb P(E_n)&\leq \sum_{n=1}^{\infty}\sum_{q\in\mathbb Q}\mathbb P(X_1=q)\ n\left(1-\frac{|q-x|}{2}\right)^{n-1}\\ &=\sum_{q\in \mathbb Q}\mathbb P(X_1=q)\sum_{n=1}^{\infty}n\left(1-\frac{|q-x|}{2}\right)^{n-1}\\ &=\sum_{q\in \mathbb Q}\mathbb P(X_1=q)\left(\frac{2}{|q-x|}\right)^2=4\mathbb E|Q-x|^{-2}. \end{align*}
To justify my claim that something like this may have been what the authors had in mind, I share the following short snippets from page 80 of the text which sets the problem in context:
and further down on the page

Lastly, while I am not sure if the claim is true without some negative moment condition on $Q$, I will point out that in general the Hewitt-Savage zero-one law applies to the event $\{E_n\textrm{ occurs infinitely often}\}$, so even if Borel-Cantelli is insufficiently strong to show the bound, all that one needs to establish is that $\mathbb P(E_n\textrm{ occurs infinitely often})<1$ to conclude.
If one wanted to try to construct a counterexample to show that some moment condition is needed on $Q$, I suggest to start by looking at Marcus M's answer here: classification of rational and irrational via one-nearest neighbor